Agostino Capponi, Jakša Cvitanic, Türkay Yolcu:We consider a continuous time model of the project value process that can only be observed with noise, and we allow for the possibility that the manager in charge of the project can misrepresent the observed value.

Agostino Capponi, Jakša Cvitanic, Türkay Yolcu: We propose a new continuous time contracting model, where the project value process can only be observed with noise, and there are two sources of moral hazard: effort and misreporting.

As the choice of an index is a crucial step in both asset allocation and performance measurements, it is useful to investigate index use and perceptions about indices. The EDHEC-Risk European Index Survey 2011 analyses the current uses of and opinions on stock, bond and equity volatility indices with the aim of providing unique insight into the users’ perspective in the index industry. Opinions from 104 institutional investment managers were gathered, representing approximately seven trillion euros of assets under management.

Jakša Cvitanic, Andrei Kirilenko:Do high frequency traders affect transaction prices? In this paper we derive the distribution of transaction prices in limit order markets populated by low frequency traders before and after the entrance of a high frequency trader (HFT).

Performance measurement of socially responsible investment (SRI) has been the subject of numerous studies in various countries. However, the conclusions of performance assessments always depend on the choice of the reference index one uses.

This publication presents the results of the latest research on structured forms of investment strategies done at EDHEC-Risk Institute with the support of Societe Generale Corporate & Investment Banking and under the leadership of Stoyan Stoyanov, Head of Research at EDHEC Risk Institute–Asia and Professor of Finance at EDHEC Business School.

Food price volatility has spiked to levels last seen in the 1970s. For low-income countries, food price hikes, such as have occurred recently, tend to significantly increase the incidence of intra-state conflicts, according to IMF research.

This publication contains the results of the second year of research done at EDHEC-Risk Institute as part of the EDHEC-Deutsche Bank research chair on asset-liability management (ALM) techniques for sovereign wealth fund management.

Stéphane Gregoir, Tristan-Pierre Maury :The labour and housing markets are closely bound up with each other. For any household, a position taken on one of these markets affects the decisions taken in the other.

As part of the AXA research chair on regulation and institutional investment, EDHEC surveyed corporate pension funds, their sponsors, and advisers to assess how sponsors manage pension risk and how pension funds manage sponsor risk.

Whether average idiosyncratic volatility has recently risen, whether it is a good predictor for aggregate market returns and whether it has a positive relationship with expected returns in the cross-section are still matters of active debate.

On October 16th, 2010, the front page of the Wall Street Journal (WSJ) carried a story entitled, “Flashback to 1870 as Cotton Hits Peak” (Cancryn and Cui, 2010). The newspaper included a graphic of the iconic Edgar Degas’ 1873 painting, “The Cotton Exchange at New Orleans” (See Exhibit 1). The article noted that cotton prices had not been this high since at least 1870.

This paper addresses the problem of option hedging and pricing when a futures contract, written either on the underlying asset or on some imperfectly correlated substitute for the underlying asset, is used in the dynamic replication of the option payoff.

Capitalisation weighting in equity index construction has come in for harsh criticism of late. Our research into efficient indexation returns to the roots of modern portfolio theory to provide an alternative to current methods of constructing equity indices.

UCITS, the European retail regulated investment funds, were created shortly after the 1985 passage of the first UCITS directive. Since then, non-financial risks have increased, but European authorities and investment professionals failed to study the impact of these risks when they allowed UCITS funds to evolve.

In this paper, we study asset prices in a dynamic, continuous-time, general- quilibrium endowment economy where agents have power utility and differ with respect to both beliefs and their preference parameters for time discount and risk aversion.

Our objective in this paper is to examine whether one can use option-implied information to improve the selection of portfolios with a large number of stocks, and to document which aspects of option-implied information are most useful for improving their out-of-sample performance.